Application will not let me quit it. What should I do?

So many options!

1. (My favorite) Option-right click (or control-option-click) on the offending application's icon in the dock, and click "Force Quit". If it doesn't respond immediately, try one or two more times.
2. Open Activity Monitor, make sure it says "All Processes" at the top. If it doesn't, select "All Processes" from the View menu (or the pop-up menu in the toolbar on older versions of OS X). Click the Force Quit button at the top left.
3. Open up terminal, and run sudo killall <appname>. This is usually the application name, minus the .app part. When it asks you for your password (after reading you the riot act if this is your first time sudoing), type your password and hit enter. The cursor will stay still when you type your password; you will not see characters or • dots.
4. More direct option -- use Activity Monitor to determine the PID (process ID) of the offending application or process, and then run sudo kill -s KILL <pid> in Terminal.

BE CAREFUL when using sudo.